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Financial Analysts Journal Volume 65, 2009 - Issue 4
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Equity Investments

Liquidity and the Post-Earnings-Announcement Drift

Tarun Chordia Tarun Chordia is the R. Howard Dobbs Chair in Finance at Goizueta Business School, Emory University, Atlanta.
,
Amit Goyal Amit Goyal is associate professor of finance at Goizueta Business School, Emory University, Atlanta.
,
Gil Sadka Gil Sadka is assistant professor of accounting at Columbia Business School, Columbia University, New York City.
,
Ronnie Sadka Ronnie Sadka is associate professor of finance at Carroll School of Management, Boston College.
&
Lakshmanan Shivakumar Lakshmanan Shivakumar is the London Business School Chaired Professor of Accounting at London Business School.
Pages 18-32 | Published online: 31 Dec 2018

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Minki Kim, Toyoung Kim & Tong Suk Kim. (2023) V-Shaped Disposition Effect, Stock Prices, and Post-Earnings-Announcement Drift: Evidence from Korea. Journal of Behavioral Finance 24:3, pages 345-364.
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Md Ruhul Amin, Chune Young Chung & Sanggyu Kang. (2023) Does information quality matter in corporate innovation? Evidence from the Korean market. Economics of Innovation and New Technology 32:1, pages 92-112.
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Guilong Cai, Bingxuan Lin, Minghai Wei & Xiaowei Xu. (2021) The role of institutional investors in post-earnings announcement drift: evidence from China. Accounting and Business Research 51:2, pages 206-236.
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René Kumsta & Andrew Vivian. (2020) The financial strength anomaly in the UK: information uncertainty or liquidity?. The European Journal of Finance 26:10, pages 925-957.
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Seok-Kyun Hur & Chune Young Chung. (2018) A novel measure of liquidity premium: application to the Korean stock market. Applied Economics Letters 25:3, pages 211-215.
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Dong Hyun Son, Dan Palmon & Ari Yezegel. (2018) The persistence of firm-specific post-earnings announcement returns. Investment Analysts Journal 47:1, pages 31-47.
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Te-Feng Chen, San-Lin Chung & Wei-Che Tsai. (2016) Option-Implied Equity Risk and the Cross Section of Stock Returns. Financial Analysts Journal 72:6, pages 42-55.
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Cameron Truong, Philip B. Shane & Qiuhong Zhao. (2016) Information in the Tails of the Distribution of Analysts’ Quarterly Earnings Forecasts. Financial Analysts Journal 72:5, pages 84-99.
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D. Balios, N. Eriotis, S. Missiakoulis & D. Vasiliou. (2016) Delisted versus voluntary delisted versus remain listed: financial disclosure timing. Applied Economics Letters 23:11, pages 773-776.
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Paulo Pereira da Silva. (2016) Common-wide information flow in CDS markets: The case of earnings surprises of industry leaders. Investment Analysts Journal 45:2, pages 63-80.
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Zhilan Feng, S. McKay Price & C.F. Sirmans. (2014) The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITS). Journal of Real Estate Research 36:3, pages 383-408.
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Markus Leippold & Harald Lohre. (2012) International price and earnings momentum. The European Journal of Finance 18:6, pages 535-573.
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Haigang Zhou & John Qi Zhu. (2012) Jump on the Post–Earnings Announcement Drift (corrected). Financial Analysts Journal 68:3, pages 63-80.
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Xavier Gerard. (2012) Information Uncertainty and the Post–Earnings Announcement Drift in Europe. Financial Analysts Journal 68:2, pages 51-69.
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Zhipeng Yan & Yan Zhao. (2011) When Two Anomalies Meet: The Post–Earnings Announcement Drift and the Value–Glamour Anomaly. Financial Analysts Journal 67:6, pages 46-60.
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Wonseok Choi, Kenton Hoyem & Jung-Wook Kim. (2010) Capital Gains Overhang and the Earnings Announcement Volume Premium. Financial Analysts Journal 66:2, pages 40-53.
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